Francesca Loria
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View article: Accounting for Uncertainty and Risks in Monetary Policy
Accounting for Uncertainty and Risks in Monetary Policy Open
This paper discusses the measurement, assessment, and communication of risks and uncertainty that are relevant for monetary policy. It provides a taxonomy of policy-relevant uncertainty related to the state and the structure of the economy…
View article: Monetary Policy and the Distribution of Income: Evidence from U.S. Metropolitan Areas
Monetary Policy and the Distribution of Income: Evidence from U.S. Metropolitan Areas Open
Our measure of the income distribution is derived from the IRS Statistics of Income (SOI), which tabulate individual income based on tax returns filed with the IRS. Starting in 1998, the IRS aggregates selected income and tax items annuall…
View article: Monetary Policy and the Distribution of Income: Evidence from U.S. Metropolitan Areas
Monetary Policy and the Distribution of Income: Evidence from U.S. Metropolitan Areas Open
We use Zip code-level Statistics of Income data from the Internal Revenue Service to measure the distribution of income within U.S. metropolitan areas from 1998 through 2019. Exploiting geographic variation in income distribution over time…
View article: On Identification Issues in Business Cycle Accounting Models
On Identification Issues in Business Cycle Accounting Models Open
Since its introduction by Chari, Kehoe, and McGrattan (2007), Business Cycle Accounting (BCA) exercises have become widespread.Much attention has been devoted to the results of such exercises and to methodological departures from the basel…
View article: Is Trend Inflation at Risk of Becoming Unanchored? The Role of Inflation Expectations
Is Trend Inflation at Risk of Becoming Unanchored? The Role of Inflation Expectations Open
Since the start of the pandemic, views about the evolution of aggregate consumer prices moved swiftly from concerns about deflation to fears about excessive inflation. It is hard to find a parallel in the history of the U.S. economy—or the…
View article: Replication Data for: Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
Replication Data for: Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis Open
Aastveit, K. A., Furlanetto, F., and Loria, F. (2023). “Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis.” Review of Economics and Statistics, 105:5, 1314–1324.
View article: Replication Data for: Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
Replication Data for: Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis Open
Review of Economics and Statistics: Forthcoming.
View article: What is Certain about Uncertainty?
What is Certain about Uncertainty? Open
Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing measures …
View article: Inflation at Risk
Inflation at Risk Open
We investigate how macroeconomic drivers affect the predictive inflation distribution as well as the probability that inflation will run above or below certain thresholds over the near term. This is what we refer to as Inflation-at-Risk–a …
View article: Assessing Macroeconomic Tail Risk
Assessing Macroeconomic Tail Risk Open
What drives macroeconomic tail risk?To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth.We use local projections (Jo…
View article: Assessing Macroeconomic Tail Risk
Assessing Macroeconomic Tail Risk Open
What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (…
View article: Essays in macroeconomics and macroeconometrics
Essays in macroeconomics and macroeconometrics Open
Defence date: 12 June 2018
View article: Has the fed responded to house and stock prices? : a time-varying analysis Banco de Espana ; Working Paper / Documento de trabajo; 2017/1713
Has the fed responded to house and stock prices? : a time-varying analysis Banco de Espana ; Working Paper / Documento de trabajo; 2017/1713 Open
In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To …